The S&P 500 gave back more than the Nasdaq-100 and Russell 2000 last week. Although using the phrase “gave back” with respect to the RUT can be a misstatement since the small cap index is basically flat for 2014. RVX was up, as would be expected with RUT down, but not as much as the other two broad based volatility indexes quoted at CBOE.
VXN rising 10.80% last week is sort of surprise. Not because VXN rose that much, but based on VXN being sort of elevated into AAPL’s new product announcements I would have expected a little headwind to VXN versus VIX and RVX. Also, VXN was up more than VIX, but the S&P 500 was down more than the Nasdaq-100. Things that make you go hmmm.
The curves are flattening on the short end based on two factors, first the indexes were higher and also because there are two trading days remaining until volatility settlement on Wednesday morning. Note the angle past September. Although we are in a treacherous time of year (based on history) the Oct futures are at pretty narrow spread relative to the indexes. Complacency prevails in the indexes and in the futures, with the futures being where traders put their money behind their outlook.